Cycles - Skybox using 6 projected images
Blender's environment texture in Cycles only supports Mirror Ball and Equirectangular image map types. You cannot use a skybox texture directly.

Some of your options are:


Convert the skybox image to one of the other 2 formats in a third party image convertor.
Set Blender native environment to pure black. Create a large cube object that surrounds your scene, UV unwrap and add the skybox image texture to that object.
Find a new sky image in Equirectangular or Mirrorball format and use that instead


Blender's internal render engine (BI) does seem to support additional mapping types (Object, Tube, Sphere, Global). Perhaps you could use the Object mode to base the mapping on a cube object but displayed as the world environment. I've not tried or tested that technique though.